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On Aumann and Serrano’s economic index of risk
16 references·0 citing·36 second hop
On Aumann and Serrano’s economic index of risk (2013)On Aumann and Serrano’s economic index of…Is there a plausible theory for decision under risk? A dual calibration critique (2012)Is there a plausible theory f…An Economic Index of Riskiness (2008)An Economic Index of RiskinessCumulative prospect theory and the St. Petersburg paradox (2005)Cumulative prospect theory an…Back to the St. Petersburg Paradox? (2005)Back to the St. Petersburg Pa…More pessimism than greediness: a characterization of monotone risk aversion in the rank-dependent expected utility model (2004)More pessimism than greedines…Coherent Measures of Risk (1999)Coherent Measures of RiskGame Shows and Economic Behavior: Risk-Taking on "Card Sharks" (1993)Game Shows and Economic Behav…The Efficiency Analysis of Choices Involving Risk (1969)The Efficiency Analysis of Ch…Some remarks on measures of risk aversion and on their uses (1969)Some remarks on measures of r…Rules for Ordering Uncertain Prospects (1969)Rules for Ordering Uncertain …Mutual Fund Performance (1966)Mutual Fund PerformanceRisk Aversion in the Small and in the Large (1964)Risk Aversion in the Small an…The St. Petersburg Paradox as a Divergent Double Limit (1960)The St. Petersburg Paradox as…GROWTH STOCKS AND THE PETERSBURG PARADOX* (1957)GROWTH STOCKS AND THE PETERSB…Exposition of a New Theory on the Measurement of Risk (1954)Exposition of a New Theory on…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*On the measurement of inequality (1970)On Economic Inequality (1973)A theory of anticipated utility (1982)Theory of games and economic behavior (2019)Essays in the Theory of Risk-Bearing. (1972)Risk Aversion in the Small and in the Large (1976)Satisficing Measures for Analysis of Risky Positions (2008)An Operational Measure of Riskiness (2009)The Riskiness of Corporate Bonds (2014)Aspects of the Theory of Risk-Bearing. (1966)Risk aversion with many commodities (1974)Uncertainty Aversion with Second-Order Utilities and Probabilities (2006)Ambiguity and the Bayesian Paradigm (2016)The Utility of Wealth (1952)Attitudes Toward Risk: Experimental Measurement in Rural India (1980)Prospect theory: An analysis of decision under risk (1988)The Small-Sample Bias of the Gini Coefficient: Results and Implications for Empirical Research (2003)Stock market volatility around national elections (2008)“Last-Place Aversion”: Evidence and Redistributive Implications * (2013)The Utility Analysis of Choices Involving Risk (1948)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Optimal rules for ordering uncertain prospects (1975)Stochastic Dominance and Expected Utility: Survey and Analysis (1992)Conditional value-at-risk for general loss distributions (2002)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)Risk Aversion and Incentive Effects (2002)A perspective on judgment and choice: Mapping bounded rationality. (2003)Maps of Bounded Rationality: Psychology for Behavioral Economics (2003)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Efficient Capital Markets: II (1991)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The arbitrage theory of capital asset pricing (1976)
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References

  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1999Coherent Measures of Risk8,849 cited
  • 1964Risk Aversion in the Small and in the Large4,964 cited
  • 1966Mutual Fund Performance3,932 cited
  • 1954Exposition of a New Theory on the Measurement of Risk2,787 cited
  • 1969Rules for Ordering Uncertain Prospects1,757 cited
  • 1969The Efficiency Analysis of Choices Involving Risk1,416 cited
  • 2008An Economic Index of Riskiness315 cited
  • 1969Some remarks on measures of risk aversion and on their uses302 cited
  • 1993Game Shows and Economic Behavior: Risk-Taking on "Card Sharks"237 cited
  • 2005Cumulative prospect theory and the St. Petersburg paradox168 cited
  • 2004More pessimism than greediness: a characterization of monotone risk aversion in the rank-dependent expected utility model88 cited
  • 2005Back to the St. Petersburg Paradox?84 cited
  • 1957GROWTH STOCKS AND THE PETERSBURG PARADOX*71 cited
  • 1960The St. Petersburg Paradox as a Divergent Double Limit64 cited
  • 2012Is there a plausible theory for decision under risk? A dual calibration critique

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